Not all of them use aluminum radiators, but that is generally true.
The 'expensive' CPU blocks are made to pretty exacting standards to get them to stand out against competition. Brass/copper radiators are superior at heat exchange and since the CPU coolers tend to be copper as well, not mixing metals. Combine that with typically larger reservoirs and, though not strictly important, flow rates. Fan quality is also a factor.
I should add that once you hit the really high quality all-in-ones it is about the same to buy the discrete parts and open yourself up to adding a GPU. (Though with the pre-filled quick disconnect ones out there now, this is less true)